Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Alfresa Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Alfresa Holdings Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.4%, MDD -15.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.8%, drawdown -70.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.4%, MDD -15.3%, Sharpe 0.39, 6% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 55.3%p (CAGR 2.4%, MDD -15.3%, exposure 6%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=14, threshold=38 |
2.4% | -15.3% | 0.39 | 0.16 | 1.6x | 26 | 6% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=18, mult=4 |
1.8% | -19.6% | 0.30 | 0.09 | 1.4x | 18 | 6% |
| SMA 크로스오버 fast=41, slow=64 |
1.6% | -49.0% | 0.18 | 0.03 | 1.4x | 93 | 50% |
| 볼린저 밴드 돌파 n=43, k=3 |
1.4% | -31.5% | 0.18 | 0.04 | 1.3x | 38 | 14% |
| Donchian 채널 돌파 entryN=56, exitN=8 |
1.4% | -35.4% | 0.17 | 0.04 | 1.3x | 96 | 23% |
| EMA 크로스오버 fast=26, slow=82 |
-0.8% | -62.6% | 0.06 | -0.01 | 0.8x | 68 | 50% |
| ROC 모멘텀 n=59, threshold=-0.05 |
-4.1% | -79.9% | -0.07 | -0.05 | 0.4x | 275 | 68% |
| MACD fast=19, slow=69, signal=22 |
-4.0% | -70.7% | -0.10 | -0.06 | 0.4x | 177 | 51% |
| Supertrend period=8, mult=4.4 |
-4.1% | -74.2% | -0.11 | -0.05 | 0.4x | 90 | 47% |
| Parabolic SAR step=0.015, maxStep=0.08 |
-6.5% | -80.3% | -0.22 | -0.08 | 0.2x | 309 | 52% |
| Buy and hold | 2.8% | -70.6% | 0.24 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 14-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)